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RidgeRegStd


Unit: SDL_math2
Class: none
Declaration: function RidgeRegStd (InData: TMatrix; OutData: TVector; Lambda: double; Coeff, DeltaCoeff, Means, StdDevs: TVector; var NearSingular: boolean): boolean;

Ridge regression is a variant of MLR which provides a solution to problems caused by collinear predictors xi in the MLR equation:

EQU_MLR1.gif

If variables are highly correlated the estimated parameters will be unstable and tend to become extensively large. In order to reduce this unwanted effect ridge regression introduces a penalizing parameter Lambda which forces the estimated parameters to become smaller. Please note that the optimum value of the parameter Lambda has to determined by cross validation (in most cases the optimum value will be in the range between zero and 0.1).

The method RidgeRegStd calculates the ridge regression model after standardizing both the independent and the target data (InData and OutData). Thus when applying this ridge regression model the means and standard deviations returned in the parameters Means and StdDevs have to be used to standardize the unknown data prior to calculating the estimated response.

The matrix InData contains the values of the independent variables xi, the vector OutData contains the values of the dependent variable y.

The function returns TRUE if the result is valid. In this case the coefficients a1 to an of the solution are the vector elements Coeff[1] to Coeff[n], respectively. The constant term a0 (which is equal to the mean of the target data) is contained in Coeff[n+1].

Numerical instabilities which may arise from near-singular equations are indicated by returning a TRUE value in the variable parameter NearSingular. In this case the calculated coefficients should not be used.

The vector DeltaCoeff reflects the uncertainties of the estimated parameters in vector Coeff. In order to get the standard deviation of the parameters, DeltaCoeff has to be multiplied by the standard error of the residuals. The standard error can be calculated by

STDERR.gif

with n = number of rows of InData, k = number of columns of InData, and the Yi being the actual and the estimated OutData.

Hint 1: RidgeRegStd uses singular value decomposition to obtain the solution.

Hint 2: The vectors Coeff, DeltaCoeff, Means, and StdDevs are automatically adjusted to the required size.


Last Update: 2013-Apr-10